Mitigating malicious use of public data for trading portfolios

Abstract

Embodiments provide systems, methods, and computer-readable storage media for concealing a makeup of a portfolio of traded assets via an optimized holdings file distributed to the public. In embodiments, a holdings file is received that identifies an actual makeup of a portfolio and an obfuscation engine is executed against the holdings file to produce an optimized holdings file. The optimized holding file approximates the portfolio over time but does not include information that reflects the actual makeup of the portfolio at any particular instance in time. The optimized holdings file may be publicly distributed to users while the holdings file is encrypted and distributed to authorized participant servers only, where the encrypted holdings file is ingested by a trading engine of the authorized participant server for use in market making operations with respect to the traded assets held in the portfolio of traded assets.

1 . A method comprising:
 receiving, by a processor, a holdings file corresponding to a portfolio of traded assets, where the holdings file identifies actual quantities of traded assets held in the portfolio of traded assets;   executing, by the processor, an obfuscation engine against the holdings file to produce an optimized holdings file that approximates the actual quantities of traded assets held in the portfolio of traded assets, where the obfuscation engine comprises a set of rules configured to modify information included in the holdings file to generate an optimized holdings file that is representative of the traded assets held in the portfolio of traded assets while concealing an actual makeup of the traded assets held in the portfolio of traded assets corresponding to the holdings file;   storing, by the processor, the optimized holdings file at a database;   transmitting, by the processor, the holdings file to a plurality of authorized participant servers; and   providing, by the processor, access to the optimized holdings file to one or more users, the one or more users being different from the plurality of authorized participant servers.   
     
     
         2 . The method of  claim 1 , where the set of rules are configured to adjust weights associated with the traded assets in the optimized holdings file by a fixed amount. 
     
     
         3 . The method of  claim 2 , where the fixed amount is applied randomly such that a first adjustment of the weights increases the weights for at least some of the traded assets and a second adjustment of the weights decreases the weights for at least some of the traded assets. 
     
     
         4 . The method of  claim 1 , further comprising:
 receiving a plurality of holdings file over a period of time, each holdings file of the plurality of holdings files corresponding to a different point in time within the period of time; and   executing the obfuscation engine against each holdings file of the plurality of holdings files to produce a plurality of optimized holdings files over the period of time, where each individual holdings file of the plurality of optimized holdings files corresponds to one holdings file of the plurality of holdings files.   
     
     
         5 . The method of  claim 4 , where average characteristics of the plurality of optimized holdings files approximate average characteristics of the plurality of holdings files over the period of time. 
     
     
         6 . The method of  claim 5 , where characteristics of an individual optimized holdings file of the plurality of optimized holdings files do not approximate characteristics of a holdings file corresponding to the individual optimized holdings file during a period of time associated with the individual holdings file and the corresponding holdings file. 
     
     
         7 . The method of  claim 1 , where the optimized holdings file approximates a portfolio structure of the portfolio of traded assets, a character and risk profile of the portfolio of traded assets, or both. 
     
     
         8 . The method of  claim 1 , where the holdings file identifies actual quantities of the traded assets held in the portfolio and the optimized holdings file identifies representative quantities of the traded assets held in the portfolio, the representative quantities of the traded assets differing from the actual quantities of the traded assets according to the adjusted weights. 
     
     
         9 . The method of  claim 1 , where the set of rules are configured to produce optimized holdings files that satisfy a threshold tracking error. 
     
     
         10 . The method of  claim 1 , where the holdings file identifies a first traded asset and the optimized holdings file does not identify the first traded asset as being held in the portfolio. 
     
     
         11 . A non-transitory computer-readable storage medium storing instructions that, when executed by one or more processors, cause the one or more processors to perform operations comprising:
 receiving a holdings file corresponding to a portfolio of traded assets, where the holdings file identifies actual quantities of traded assets held in the portfolio of traded assets;   executing an obfuscation engine against the holdings file to produce an optimized holdings file that approximates the actual quantities of traded assets held in the portfolio of traded assets, where the obfuscation engine comprises a set of rules configured to modify information included in the holdings file to generate an optimized holdings file that is representative of the traded assets held in the portfolio of traded assets while concealing an actual makeup of the traded assets held in the portfolio of traded assets corresponding to the holdings file;   storing the optimized holdings file at a database;   transmitting the holdings file to a plurality of authorized participant servers; and   providing access to the optimized holdings file to one or more users, the one or more users being different from the plurality of authorized participant servers.   
     
     
         12 . The non-transitory computer-readable storage medium of  claim 11 , where the set of rules are configured to adjust weights associated with the traded assets in the optimized holdings file by a fixed amount. 
     
     
         13 . The non-transitory computer-readable storage medium of  claim 12 , where the fixed amount is applied randomly such that a first adjustment of the weights increases the weights for at least some of the traded assets and a second adjustment of the weights decreases the weights for at least some of the traded assets. 
     
     
         14 . The non-transitory computer-readable storage medium of  claim 11 , the operations further comprising:
 receiving a plurality of holdings file over a period of time, each holdings file of the plurality of holdings files corresponding to a different point in time within the period of time; and   executing the obfuscation engine against each holdings file of the plurality of holdings files to produce a plurality of optimized holdings files over the period of time, where each individual holdings file of the plurality of optimized holdings files corresponds to one holdings file of the plurality of holdings files.   
     
     
         15 . The non-transitory computer-readable storage medium of  claim 14 , where average characteristics of the plurality of optimized holdings files approximate average characteristics of the plurality of holdings files over the period of time, and where characteristics of an individual optimized holdings file of the plurality of optimized holdings files do not approximate characteristics of a holdings file corresponding to the individual optimized holdings file during a period of time associated with the individual holdings file and the corresponding holdings file. 
     
     
         16 . The non-transitory computer-readable storage medium of  claim 11 , where the optimized holdings file approximates a portfolio structure of the portfolio of traded assets, a character and risk profile of the portfolio of traded assets, or both, and where the set of rules are configured to produce optimized holdings files that satisfy a threshold tracking error. 
     
     
         17 . The non-transitory computer-readable storage medium of  claim 11 , where the holdings file identifies actual quantities of the traded assets held in the portfolio and the optimized holdings file identifies representative quantities of the traded assets held in the portfolio, the representative quantities of the traded assets differing from the actual quantities of the traded assets according to the adjusted weights. 
     
     
         18 . The non-transitory computer-readable storage medium of  claim 1 , where the optimized holdings file is not provided to the plurality of authorized participant servers. 
     
     
         19 . A system comprising:
 one or more processors configured to:   receive a holdings file corresponding to a portfolio of traded assets, where the holdings file identifies actual quantities of traded assets held in the portfolio of traded assets;   execute an obfuscation engine against the holdings file to produce an optimized holdings file that approximates the actual quantities of traded assets held in the portfolio of traded assets, where the obfuscation engine comprises a set of rules configured to modify information included in the holdings file to generate an optimized holdings file that is representative of the traded assets held in the portfolio of traded assets while concealing an actual makeup of the traded assets held in the portfolio of traded assets corresponding to the holdings file;   store the optimized holdings file at a database; and   provide access to the optimized holdings file to one or more users, the one or more users being different from the plurality of authorized participant servers; and   a memory configured to store the database.   
     
     
         20 . The system of  claim 19 , wherein the one or more processors are configured to:
 generate the holdings file;   encrypt the holdings file;   record the encrypted holdings file or information derived from the encrypted holdings file to a blockchain; and   transmit the encrypted holdings file to a plurality of authorized participant servers.